I don't think it is active desktop. But lets go with active desktop first, just to make sure.

First:

Right-click on your desktop--> Properties, go to the "Desktop" tab--> at the bottom click "Customize Desktop"--> got to the "Web" tab. Nothing in there should have a checkmark.

Second: (I think this is what you are looking for)

Go to:

Control Panel--> Choose "System"--> got to the "Advanced" tab--> Under "Performance" click "Settings"--> go all the way to the bottom of the list and put a checkmark where it says "Use Drop shadows for icon labels on the desktop"--> click apply and OK.